Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

Table 1

Full volatility information at node (𝑡, 𝑚).

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ℎ¹_𝑎,𝑡(3,𝑚), ℎ²_𝑎,𝑡(3,𝑚)

ℎ¹_𝑎,𝑡(3,𝑚), ℎ²_𝑎,𝑡(2,𝑚)

ℎ¹_𝑎,𝑡(3,𝑚), ℎ²_𝑎,𝑡(1,𝑚)

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ℎ¹_𝑎,𝑡(2,𝑚), ℎ²_𝑎,𝑡(3,𝑚)

ℎ¹_𝑎,𝑡(2,𝑚), ℎ²_𝑎,𝑡(2,𝑚)

ℎ¹_𝑎,𝑡(2,𝑚), ℎ²_𝑎,𝑡(1,𝑚)

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ℎ¹_𝑎,𝑡(1,𝑚), ℎ²_𝑎,𝑡(3,𝑚)

ℎ¹_𝑎,𝑡(1,𝑚), ℎ²_𝑎,𝑡(2,𝑚)

ℎ¹_𝑎,𝑡(1,𝑚), ℎ²_𝑎,𝑡(1,𝑚)

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